Edit Profile Bayraktar, Erhan Compute Distance To: Compute Author ID: bayraktar.erhan Published as: Bayraktar, Erhan; Bayraktar, E. Homepage: https://sites.lsa.umich.edu/erhan/ External Links: MGP · ORCID · Wikidata · arXiv · ResearchGate · Math-Net.Ru · dblp Documents Indexed: 136 Publications since 2004 all top 5 Co-Authors 3 single-authored 17 Young, Virginia R. 11 Zhou, Zhou 9 Poor, Harold Vincent 9 Yao, Song 7 Xing, Hao 5 Cohen, Asaf 5 Egami, Masahiko 5 Zhang, Yuchong 4 Dolinsky, Yan 4 Huang, Yu-Jui 4 Lai, Lifeng 4 Ludkovski, Michael 4 Promislov, S. David 3 Angoshtari, Bahman 3 Dayanik, Savas 3 Ekren, Ibrahim 3 Karatzas, Ioannis 3 Kravitz, Ross 3 Li, Jiaqi 3 Pham, Huyên 3 Sayit, Hasanjan 3 Sîrbu, Mihai 3 Song, Qingshuo 2 Azimzadeh, Parsiad 2 Budhiraja, Amarjit S. 2 Cosso, Andrea 2 Dolinskyi, Leonid 2 Guo, Jia 2 Kardaras, Constantinos 2 Kyprianou, Andreas E. 2 Yamazaki, Kazutoshi 2 Yu, Xiang 1 Bäuerle, Nicole 1 Burzoni, Matteo 1 Cecchin, Alekos 1 Cossc, Andrea 1 Cox, Alexander Matthew Gordon 1 Cvitanić, Jakša 1 Czichowsky, Christoph 1 Delarue, François 1 Emmerling, Thomas J. 1 Fahim, Arash 1 Fellouris, Georgios 1 Geng, Jun 1 Guo, Gaoyue 1 Horst, Ulrich 1 Hu, Xueying 1 Keller, Christian 1 Labahn, George 1 Liang, Zhibin 1 Menaldi, Jose-Luis 1 Milevsky, Moshe Arye 1 Miller, Christopher W. 1 Munk, Alexander 1 Nadtochiy, Sergey 1 Pakkanen, Mikko S. 1 Qiu, Jinniao 1 Rao, Raghuveer M. 1 Sezer, Semih Onur 1 Sircar, K. Ronnie 1 Sircar, Ronnie 1 Stoev, Yavor I. 1 Wang, Gu 1 Wu, Ruoyu 1 Zhang, Jingjie 1 Zhang, Yili all top 5 Serials 19 SIAM Journal on Control and Optimization 11 The Annals of Applied Probability 11 Stochastic Processes and their Applications 9 Insurance Mathematics & Economics 8 SIAM Journal on Financial Mathematics 7 Mathematical Finance 6 Mathematics of Operations Research 6 Proceedings of the American Mathematical Society 5 Finance and Stochastics 5 Mathematical Methods of Operations Research 4 IEEE Transactions on Information Theory 4 Applied Mathematics and Optimization 4 International Journal of Theoretical and Applied Finance 3 Applied Mathematical Finance 3 Stochastics 2 Stochastic Analysis and Applications 2 Sequential Analysis 2 Annals of Operations Research 2 Electronic Communications in Probability 2 Quantitative Finance 2 North American Actuarial Journal 2 Mathematics and Financial Economics 2 Annals of Finance 1 Theory of Probability and its Applications 1 Illinois Journal of Mathematics 1 Journal of Functional Analysis 1 Journal of Optimization Theory and Applications 1 Transactions of the American Mathematical Society 1 Systems & Control Letters 1 Numerical Methods for Partial Differential Equations 1 Journal of Economic Dynamics & Control 1 SIAM Journal on Matrix Analysis and Applications 1 Communications in Partial Differential Equations 1 Journal de Mathématiques Pures et Appliquées. Neuvième Série 1 SIAM Journal on Mathematical Analysis 1 Bernoulli 1 Journal of Machine Learning Research (JMLR) 1 ASTIN Bulletin all top 5 Fields 91 Probability theory and stochastic processes (60-XX) 91 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 41 Systems theory; control (93-XX) 28 Calculus of variations and optimal control; optimization (49-XX) 22 Partial differential equations (35-XX) 14 Statistics (62-XX) 7 Numerical analysis (65-XX) 6 Operations research, mathematical programming (90-XX) 3 Integral equations (45-XX) 3 Operator theory (47-XX) 3 Computer science (68-XX) 3 Information and communication theory, circuits (94-XX) 1 Mathematical logic and foundations (03-XX) 1 Combinatorics (05-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Dynamical systems and ergodic theory (37-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 122 Publications have been cited 1,066 times in 685 Documents Cited by ▼ Year ▼ On optimal dividends in the dual model. Zbl 1283.91192Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi 38 2013 Liquidation in limit order books with controlled intensity. Zbl 1314.91247Bayraktar, Erhan; Ludkovski, Michael 33 2014 Stochastic Perron’s method and verification without smoothness using viscosity comparison: the linear case. Zbl 1279.60056Bayraktar, Erhan; Sîrbu, Mihai 31 2012 Valuation of mortality risk via the instantaneous Sharpe ratio: applications to life annuities. Zbl 1170.91406Bayraktar, Erhan; Milevsky, Moshe A.; Promislow, S. David; Young, Virginia R. 30 2009 Optimal reinsurance and investment with unobservable claim size and intensity. Zbl 1296.91161Liang, Zhibin; Bayraktar, Erhan 30 2014 Minimizing the probability of lifetime ruin under ambiguity aversion. Zbl 1343.49028Bayraktar, Erhan; Zhang, Yuchong 29 2015 Optimizing venture capital investments in a jump diffusion model. Zbl 1151.91049Bayraktar, Erhan; Egami, Masahiko 28 2008 Stochastic Perron’s method for Hamilton-Jacobi-Bellman equations. Zbl 1285.49019Bayraktar, Erhan; Sîrbu, Mihai 26 2013 Optimal stopping for dynamic convex risk measures. Zbl 1259.60042Bayraktar, Erhan; Karatzas, Ioannis; Yao, Song 25 2010 Optimal dividends in the dual model under transaction costs. Zbl 1294.91071Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi 25 2014 On the one-dimensional optimal switching problem. Zbl 1221.60058Bayraktar, Erhan; Egami, Masahiko 25 2010 Adaptive Poisson disorder problem. Zbl 1104.62093Bayraktar, Erhan; Dayanik, Savas; Karatzas, Ioannis 24 2006 Minimizing the probability of lifetime ruin under borrowing constraints. Zbl 1119.91041Bayraktar, Erhan; Young, Virginia R. 23 2007 Optimal stopping for non-linear expectations. I. Zbl 1221.60059Bayraktar, Erhan; Yao, Song 22 2011 Optimal trade execution in illiquid markets. Zbl 1233.91335Bayraktar, Erhan; Ludkovski, Michael 20 2011 Stochastic Perron’s method and verification without smoothness using viscosity comparison: obstacle problems and Dynkin games. Zbl 1321.60080Bayraktar, Erhan; Sîrbu, Mihai 20 2014 On the multidimensional controller-and-stopper games. Zbl 1268.49045Bayraktar, Erhan; Huang, Yu-Jui 19 2013 On arbitrage and duality under model uncertainty and portfolio constraints. Zbl 1411.91541Bayraktar, Erhan; Zhou, Zhou 19 2017 Analysis of a finite state many player game using its master equation. Zbl 1416.91013Bayraktar, Erhan; Cohen, Asaf 19 2018 The standard Poisson disorder problem revisited. Zbl 1070.62062Bayraktar, Erhan; Dayanik, Savas; Karatzas, Ioannis 18 2005 Optimal stopping for non-linear expectations. II. Zbl 1221.60060Bayraktar, Erhan; Yao, Song 18 2011 Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics. Zbl 1381.93102Bayraktar, Erhan; Cosso, Andrea; Pham, Huyên 18 2018 Correspondence between lifetime minimum wealth and utility of consumption. Zbl 1144.91015Bayraktar, Erhan; Young, Virginia R. 17 2007 Pricing Asian options for jump diffusion. Zbl 1229.91332Bayraktar, Erhan; Xing, Hao 17 2011 Hedging life insurance with pure endowments. Zbl 1183.91067Bayraktar, Erhan; Young, Virginia R. 14 2007 Pricing options in incomplete equity markets via the instantaneous Sharpe ratio. Zbl 1233.91256Bayraktar, Erhan; Young, Virginia 14 2008 Poisson disorder problem with exponential penalty for delay. Zbl 1278.62132Bayraktar, Erhan; Dayanik, Savas 13 2006 Estimating the fractal dimension of the S&P 500 index using wavelet analysis. Zbl 1088.91051Bayraktar, Erhan; Poor, H. Vincent; Sircar, K. Ronnie 12 2004 On the continuity of stochastic exit time control problems. Zbl 1211.60012Bayraktar, Erhan; Song, Qingshuo; Yang, Jie 12 2011 On hedging American options under model uncertainty. Zbl 1315.91060Bayraktar, Erhan; Huang, Yu-Jui; Zhou, Zhou 12 2015 Valuation equations for stochastic volatility models. Zbl 1255.91125Bayraktar, Erhan; Kardaras, Constantinos; Xing, Hao 11 2012 Proving regularity of the minimal probability of ruin via a game of stopping and control. Zbl 1303.91196Bayraktar, Erhan; Young, Virginia R. 11 2011 On the impulse control of jump diffusions. Zbl 1272.49073Bayraktar, Erhan; Emmerling, Thomas; Menaldi, José-Luis 11 2013 Stochastic Perron’s method for the probability of lifetime ruin problem under transaction costs. Zbl 1343.93094Bayraktar, Erhan; Zhang, Yuchong 11 2015 Strict local martingale deflators and valuing American call-type options. Zbl 1269.60045Bayraktar, Erhan; Kardaras, Constantinos; Xing, Hao 10 2012 Sequential tracking of a hidden Markov chain using point process observations. Zbl 1163.62062Bayraktar, Erhan; Ludkovski, Michael 10 2009 A limit theorem for financial markets with inert investors. Zbl 1276.91055Bayraktar, Erhan; Horst, Ulrich; Sircar, Ronnie 10 2006 Optimal investment strategy to minimize occupation time. Zbl 1233.91235Bayraktar, Erhan; Young, Virginia R. 9 2010 Fundamental theorem of asset pricing under transaction costs and model uncertainty. Zbl 1364.91158Bayraktar, Erhan; Zhang, Yuchong 9 2016 Robust feedback switching control: dynamic programming and viscosity solutions. Zbl 1347.49042Bayraktar, Erhan; Cosso, Andrea; Pham, Huyên 9 2016 Optimally investing to reach a bequest goal. Zbl 1371.91149Bayraktar, Erhan; Young, Virginia R. 9 2016 Quadratic reflected BSDEs with unbounded obstacles. Zbl 1268.60082Bayraktar, Erhan; Yao, Song 8 2012 A note on applications of stochastic ordering to control problems in insurance and finance. Zbl 1314.60104Bäuerle, Nicole; Bayraktar, Erhan 8 2014 The effects of implementation delay on decision-making under uncertainty. Zbl 1115.93095Bayraktar, Erhan; Egami, Masahiko 8 2007 Inventory management with partially observed nonstationary demand. Zbl 1194.90008Bayraktar, Erhan; Ludkovski, Michael 8 2010 On the robust optimal stopping problem. Zbl 1310.60040Bayraktar, Erhan; Yao, Song 8 2014 A weak dynamic programming principle for zero-sum stochastic differential games with unbounded controls. Zbl 1272.49082Bayraktar, Erhan; Yao, Song 8 2013 Path-dependent Hamilton-Jacobi equations in infinite dimensions. Zbl 1401.35328Bayraktar, Erhan; Keller, Christian 8 2018 Convergence of implicit schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities. Zbl 1405.49021Azimzadeh, Parsiad; Bayraktar, Erhan; Labahn, George 8 2018 Analysis of the optimal exercise boundary of American options for jump diffusions. Zbl 1188.91209Bayraktar, Erhan; Xing, Hao 7 2009 A proof of the smoothness of the finite time horizon American put option for jump diffusions. Zbl 1204.60033Bayraktar, Erhan 7 2009 Doubly reflected BSDEs with integrable parameters and related Dynkin games. Zbl 1325.60085Bayraktar, Erhan; Yao, Song 7 2015 A unified framework for pricing credit and equity derivatives. Zbl 1229.91330Bayraktar, Erhan; Yang, Bo 6 2011 Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions. Zbl 1178.91189Bayraktar, Erhan; Xing, Hao 6 2009 No arbitrage conditions for simple trading strategies. Zbl 1233.91303Bayraktar, Erhan; Sayit, Hasanjan 6 2010 An analysis of monotone follower problems for diffusion processes. Zbl 1217.93179Bayraktar, Erhan; Egami, Masahiko 6 2008 On the uniqueness of classical solutions of Cauchy problems. Zbl 1194.35012Bayraktar, Erhan; Xing, Hao 6 2010 Optimal investment to minimize the probability of drawdown. Zbl 1367.91162Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. 6 2016 Finite state mean field games with Wright-Fisher common noise. Zbl 1459.91012Bayraktar, Erhan; Cecchin, Alekos; Cohen, Asaf; Delarue, François 6 2021 Distribution-constrained optimal stopping. Zbl 1411.91540Bayraktar, Erhan; Miller, Christopher W. 6 2019 Stochastic differential games in a non-Markovian setting. Zbl 1102.91012Bayraktar, Erhan; Poor, H. Vincent 5 2005 Stability of exponential utility maximization with respect to market perturbations. Zbl 1272.91061Bayraktar, Erhan; Kravitz, Ross 5 2013 Quickest detection of a minimum of two Poisson disorder times. Zbl 1139.62043Bayraktar, Erhan; Poor, H. Vincent 5 2007 Stochastic Perron for stochastic target games. Zbl 1337.93100Bayraktar, Erhan; Li, Jiaqi 5 2016 Minimizing the probability of lifetime drawdown under constant consumption. Zbl 1369.91160Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. 5 2016 A rank-based mean field game in the strong formulation. Zbl 1415.91050Bayraktar, Erhan; Zhang, Yuchong 5 2016 Purchasing life insurance to reach a bequest goal. Zbl 1304.91091Bayraktar, Erhan; Promislow, S. David; Young, Virginia R. 5 2014 Purchasing term life insurance to reach a bequest goal while consuming. Zbl 1339.91105Bayraktar, Erhan; Promislow, S. David; Young, Virginia R. 5 2016 Super-hedging American options with semi-static trading strategies under model uncertainty. Zbl 1396.91716Bayraktar, Erhan; Zhou, Zhou 5 2017 On the market viability under proportional transaction costs. Zbl 1411.91479Bayraktar, Erhan; Yu, Xiang 5 2018 Outperforming the market portfolio with a given probability. Zbl 1259.60072Bayraktar, Erhan; Huang, Yu-Jui; Song, Qingshuo 5 2012 A stochastic approximation for fully nonlinear free boundary parabolic problems. Zbl 1297.65006Bayraktar, Erhan; Fahim, Arash 4 2014 Pricing options on defaultable stocks. Zbl 1142.91504Bayraktar, E. 4 2008 On the perpetual American put options for level dependent volatility models with jumps. Zbl 1235.91160Bayraktar, Erhan 4 2011 Stochastic Perron for stochastic target problems. Zbl 1346.93394Bayraktar, Erhan; Li, Jiaqi 4 2016 Arbitrage, hedging and utility maximization using semi-static trading strategies with American options. Zbl 1357.91046Bayraktar, Erhan; Zhou, Zhou 4 2016 On the robust Dynkin game. Zbl 1371.60071Bayraktar, Erhan; Yao, Song 4 2017 High order Bellman equations and weakly chained diagonally dominant tensors. Zbl 1455.65100Azimzadeh, Parsiad; Bayraktar, Erhan 4 2019 Time consistent stopping for the mean-standard deviation problem – the discrete time case. Zbl 1427.91251Bayraktar, Erhan; Zhang, Jingjie; Zhou, Zhou 4 2019 Life insurance purchasing to maximize utility of household consumption. Zbl 1412.91030Bayraktar, Erhan; Young, Virginia R. 4 2013 Martingale optimal transport with stopping. Zbl 1405.60053Bayraktar, Erhan; Cox, Alexander M. G.; Stoev, Yavor 4 2018 Continuity of utility maximization under weak convergence. Zbl 1461.91288Bayraktar, Erhan; Dolinsky, Yan; Guo, Jia 4 2020 Minimizing the probability of lifetime ruin under stochastic volatility. Zbl 1218.91146Bayraktar, Erhan; Hu, Xueying; Young, Virginia R. 3 2011 Arbitrage in fractal modulated Black-Scholes models when the volatility is stochastic. Zbl 1152.91482Bayraktar, Erhan; Poor, H. Vincent 3 2005 A unified treatment of dividend payment problems under fixed cost and implementation delays. Zbl 1189.93142Bayraktar, Erhan; Egami, Masahiko 3 2010 Online change detection for a Poisson process with a phase-type change-time prior distribution. Zbl 1162.62077Bayraktar, Erhan; Sezer, Semih 3 2009 Minimizing the lifetime shortfall or shortfall at death. Zbl 1162.91397Bayraktar, Erhan; Young, Virginia R. 3 2009 Quickest detection with discretely controlled observations. Zbl 1309.62142Bayraktar, Erhan; Kravitz, Ross 3 2015 Bayesian quickest change-point detection with sampling right constraints. Zbl 1360.94109Geng, Jun; Bayraktar, Erhan; Lai, Lifeng 3 2014 Robust maximization of asymptotic growth under covariance uncertainty. Zbl 1287.60081Bayraktar, Erhan; Huang, Yu-Jui 3 2013 Extended weak convergence and utility maximisation with proportional transaction costs. Zbl 1448.91271Bayraktar, Erhan; Dolinskyi, Leonid; Dolinsky, Yan 3 2020 Optimal dividend distribution under drawdown and ratcheting constraints on dividend rates. Zbl 1427.91290Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. 3 2019 Large tournament games. Zbl 1443.91035Bayraktar, Erhan; Cvitanić, Jakša; Zhang, Yuchong 3 2019 On the stickiness property. Zbl 1205.91178Bayraktar, Erhan; Sayit, Hasanjan 2 2010 Quickest search over Brownian channels. Zbl 1322.60043Bayraktar, Erhan; Kravitz, Ross 2 2014 Optimal time to change premiums. Zbl 1156.91392Bayraktar, Erhan; Poor, H. Vincent 2 2008 Byzantine fault tolerant distributed quickest change detection. Zbl 1314.62187Bayraktar, Erhan; Lai, Lifeng 2 2015 Weak reflection principle for Lévy processes. Zbl 1330.60064Bayraktar, Erhan; Nadtochiy, Sergey 2 2015 Optimal stopping with random maturity under nonlinear expectations. Zbl 1373.60078Bayraktar, Erhan; Yao, Song 2 2017 On controller-stopper problems with jumps and their applications to indifference pricing of American options. Zbl 1339.60120Bayraktar, Erhan; Zhou, Zhou 2 2014 Finite state mean field games with Wright-Fisher common noise. Zbl 1459.91012Bayraktar, Erhan; Cecchin, Alekos; Cohen, Asaf; Delarue, François 6 2021 Transport plans with domain constraints. Zbl 1470.60117Bayraktar, Erhan; Zhang, Xin; Zhou, Zhou 1 2021 Continuity of utility maximization under weak convergence. Zbl 1461.91288Bayraktar, Erhan; Dolinsky, Yan; Guo, Jia 4 2020 Extended weak convergence and utility maximisation with proportional transaction costs. Zbl 1448.91271Bayraktar, Erhan; Dolinskyi, Leonid; Dolinsky, Yan 3 2020 On non-uniqueness in mean field games. Zbl 1444.91025Bayraktar, Erhan; Zhang, Xin 2 2020 On the quasi-sure superhedging duality with frictions. Zbl 1433.91168Bayraktar, Erhan; Burzoni, Matteo 1 2020 Distribution-constrained optimal stopping. Zbl 1411.91540Bayraktar, Erhan; Miller, Christopher W. 6 2019 High order Bellman equations and weakly chained diagonally dominant tensors. Zbl 1455.65100Azimzadeh, Parsiad; Bayraktar, Erhan 4 2019 Time consistent stopping for the mean-standard deviation problem – the discrete time case. Zbl 1427.91251Bayraktar, Erhan; Zhang, Jingjie; Zhou, Zhou 4 2019 Optimal dividend distribution under drawdown and ratcheting constraints on dividend rates. Zbl 1427.91290Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. 3 2019 Large tournament games. Zbl 1443.91035Bayraktar, Erhan; Cvitanić, Jakša; Zhang, Yuchong 3 2019 Optimal investment with random endowments and transaction costs: duality theory and shadow prices. Zbl 1410.91409Bayraktar, Erhan; Yu, Xiang 2 2019 Rate control under heavy traffic with strategic servers. Zbl 1409.60131Bayraktar, Erhan; Budhiraja, Amarjit; Cohen, Asaf 1 2019 No-arbitrage and hedging with liquid American options. Zbl 1433.91169Bayraktar, Erhan; Zhou, Zhou 1 2019 On the controller-stopper problems with controlled jumps. Zbl 1422.91081Bayraktar, Erhan; Li, Jiaqi 1 2019 Analysis of a finite state many player game using its master equation. Zbl 1416.91013Bayraktar, Erhan; Cohen, Asaf 19 2018 Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics. Zbl 1381.93102Bayraktar, Erhan; Cosso, Andrea; Pham, Huyên 18 2018 Path-dependent Hamilton-Jacobi equations in infinite dimensions. Zbl 1401.35328Bayraktar, Erhan; Keller, Christian 8 2018 Convergence of implicit schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities. Zbl 1405.49021Azimzadeh, Parsiad; Bayraktar, Erhan; Labahn, George 8 2018 On the market viability under proportional transaction costs. Zbl 1411.91479Bayraktar, Erhan; Yu, Xiang 5 2018 Martingale optimal transport with stopping. Zbl 1405.60053Bayraktar, Erhan; Cox, Alexander M. G.; Stoev, Yavor 4 2018 Recombining tree approximations for optimal stopping for diffusions. Zbl 1394.60039Bayraktar, Erhan; Dolinsky, Yan; Guo, Jia 2 2018 Risk sensitive control of the lifetime ruin problem. Zbl 1407.93429Bayraktar, Erhan; Cohen, Asaf 2 2018 Solvability of the nonlinear Dirichlet problem with integro-differential operators. Zbl 1386.60234Bayraktar, Erhan; Song, Qingshuo 1 2018 A numerical scheme for a mean field game in some queueing systems based on Markov chain approximation method. Zbl 1425.91043Bayraktar, Erhan; Budhiraja, Amarjit; Cohen, Asaf 1 2018 On zero-sum optimal stopping games. Zbl 1404.49027Bayraktar, Erhan; Zhou, Zhou 1 2018 On arbitrage and duality under model uncertainty and portfolio constraints. Zbl 1411.91541Bayraktar, Erhan; Zhou, Zhou 19 2017 Super-hedging American options with semi-static trading strategies under model uncertainty. Zbl 1396.91716Bayraktar, Erhan; Zhou, Zhou 5 2017 On the robust Dynkin game. Zbl 1371.60071Bayraktar, Erhan; Yao, Song 4 2017 Optimal stopping with random maturity under nonlinear expectations. Zbl 1373.60078Bayraktar, Erhan; Yao, Song 2 2017 Ergodicity of robust switching control and nonlinear system of quasi-variational inequalities. Zbl 1372.35169Bayraktar, Erhan; Cossc, Andrea; Pham, Huyên 1 2017 On an optimal stopping problem of an insider. Zbl 1386.60153Bayraktar, E.; Zhou, Zh. 1 2017 Fundamental theorem of asset pricing under transaction costs and model uncertainty. Zbl 1364.91158Bayraktar, Erhan; Zhang, Yuchong 9 2016 Robust feedback switching control: dynamic programming and viscosity solutions. Zbl 1347.49042Bayraktar, Erhan; Cosso, Andrea; Pham, Huyên 9 2016 Optimally investing to reach a bequest goal. Zbl 1371.91149Bayraktar, Erhan; Young, Virginia R. 9 2016 Optimal investment to minimize the probability of drawdown. Zbl 1367.91162Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. 6 2016 Stochastic Perron for stochastic target games. Zbl 1337.93100Bayraktar, Erhan; Li, Jiaqi 5 2016 Minimizing the probability of lifetime drawdown under constant consumption. Zbl 1369.91160Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. 5 2016 A rank-based mean field game in the strong formulation. Zbl 1415.91050Bayraktar, Erhan; Zhang, Yuchong 5 2016 Purchasing term life insurance to reach a bequest goal while consuming. Zbl 1339.91105Bayraktar, Erhan; Promislow, S. David; Young, Virginia R. 5 2016 Stochastic Perron for stochastic target problems. Zbl 1346.93394Bayraktar, Erhan; Li, Jiaqi 4 2016 Arbitrage, hedging and utility maximization using semi-static trading strategies with American options. Zbl 1357.91046Bayraktar, Erhan; Zhou, Zhou 4 2016 An \(\alpha\)-stable limit theorem under sublinear expectation. Zbl 1347.60006Bayraktar, Erhan; Munk, Alexander 1 2016 On a stopping game in continuous time. Zbl 1345.60037Bayraktar, Erhan; Zhou, Zhou 1 2016 Minimizing the probability of lifetime ruin under ambiguity aversion. Zbl 1343.49028Bayraktar, Erhan; Zhang, Yuchong 29 2015 On hedging American options under model uncertainty. Zbl 1315.91060Bayraktar, Erhan; Huang, Yu-Jui; Zhou, Zhou 12 2015 Stochastic Perron’s method for the probability of lifetime ruin problem under transaction costs. Zbl 1343.93094Bayraktar, Erhan; Zhang, Yuchong 11 2015 Doubly reflected BSDEs with integrable parameters and related Dynkin games. Zbl 1325.60085Bayraktar, Erhan; Yao, Song 7 2015 Quickest detection with discretely controlled observations. Zbl 1309.62142Bayraktar, Erhan; Kravitz, Ross 3 2015 Byzantine fault tolerant distributed quickest change detection. Zbl 1314.62187Bayraktar, Erhan; Lai, Lifeng 2 2015 Weak reflection principle for Lévy processes. Zbl 1330.60064Bayraktar, Erhan; Nadtochiy, Sergey 2 2015 Purchasing term life insurance to reach a bequest goal: time-dependent case. Zbl 1414.91162Bayraktar, Erhan; Promislow, S. David; Young, Virginia R. 1 2015 Liquidation in limit order books with controlled intensity. Zbl 1314.91247Bayraktar, Erhan; Ludkovski, Michael 33 2014 Optimal reinsurance and investment with unobservable claim size and intensity. Zbl 1296.91161Liang, Zhibin; Bayraktar, Erhan 30 2014 Optimal dividends in the dual model under transaction costs. Zbl 1294.91071Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi 25 2014 Stochastic Perron’s method and verification without smoothness using viscosity comparison: obstacle problems and Dynkin games. Zbl 1321.60080Bayraktar, Erhan; Sîrbu, Mihai 20 2014 A note on applications of stochastic ordering to control problems in insurance and finance. Zbl 1314.60104Bäuerle, Nicole; Bayraktar, Erhan 8 2014 On the robust optimal stopping problem. Zbl 1310.60040Bayraktar, Erhan; Yao, Song 8 2014 Purchasing life insurance to reach a bequest goal. Zbl 1304.91091Bayraktar, Erhan; Promislow, S. David; Young, Virginia R. 5 2014 A stochastic approximation for fully nonlinear free boundary parabolic problems. Zbl 1297.65006Bayraktar, Erhan; Fahim, Arash 4 2014 Bayesian quickest change-point detection with sampling right constraints. Zbl 1360.94109Geng, Jun; Bayraktar, Erhan; Lai, Lifeng 3 2014 Quickest search over Brownian channels. Zbl 1322.60043Bayraktar, Erhan; Kravitz, Ross 2 2014 On controller-stopper problems with jumps and their applications to indifference pricing of American options. Zbl 1339.60120Bayraktar, Erhan; Zhou, Zhou 2 2014 On the existence of consistent price systems. Zbl 1291.91188Bayraktar, Erhan; Pakkanen, Mikko S.; Sayit, Hasanjan 1 2014 On optimal dividends in the dual model. Zbl 1283.91192Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi 38 2013 Stochastic Perron’s method for Hamilton-Jacobi-Bellman equations. Zbl 1285.49019Bayraktar, Erhan; Sîrbu, Mihai 26 2013 On the multidimensional controller-and-stopper games. Zbl 1268.49045Bayraktar, Erhan; Huang, Yu-Jui 19 2013 On the impulse control of jump diffusions. Zbl 1272.49073Bayraktar, Erhan; Emmerling, Thomas; Menaldi, José-Luis 11 2013 A weak dynamic programming principle for zero-sum stochastic differential games with unbounded controls. Zbl 1272.49082Bayraktar, Erhan; Yao, Song 8 2013 Stability of exponential utility maximization with respect to market perturbations. Zbl 1272.91061Bayraktar, Erhan; Kravitz, Ross 5 2013 Life insurance purchasing to maximize utility of household consumption. Zbl 1412.91030Bayraktar, Erhan; Young, Virginia R. 4 2013 Robust maximization of asymptotic growth under covariance uncertainty. Zbl 1287.60081Bayraktar, Erhan; Huang, Yu-Jui 3 2013 Stochastic Perron’s method and verification without smoothness using viscosity comparison: the linear case. Zbl 1279.60056Bayraktar, Erhan; Sîrbu, Mihai 31 2012 Valuation equations for stochastic volatility models. Zbl 1255.91125Bayraktar, Erhan; Kardaras, Constantinos; Xing, Hao 11 2012 Strict local martingale deflators and valuing American call-type options. Zbl 1269.60045Bayraktar, Erhan; Kardaras, Constantinos; Xing, Hao 10 2012 Quadratic reflected BSDEs with unbounded obstacles. Zbl 1268.60082Bayraktar, Erhan; Yao, Song 8 2012 Outperforming the market portfolio with a given probability. Zbl 1259.60072Bayraktar, Erhan; Huang, Yu-Jui; Song, Qingshuo 5 2012 Regularity of the optimal stopping problem for jump diffusions. Zbl 1255.60068Bayraktar, Erhan; Xing, Hao 1 2012 Optimal stopping for non-linear expectations. I. Zbl 1221.60059Bayraktar, Erhan; Yao, Song 22 2011 Optimal trade execution in illiquid markets. Zbl 1233.91335Bayraktar, Erhan; Ludkovski, Michael 20 2011 Optimal stopping for non-linear expectations. II. Zbl 1221.60060Bayraktar, Erhan; Yao, Song 18 2011 Pricing Asian options for jump diffusion. Zbl 1229.91332Bayraktar, Erhan; Xing, Hao 17 2011 On the continuity of stochastic exit time control problems. Zbl 1211.60012Bayraktar, Erhan; Song, Qingshuo; Yang, Jie 12 2011 Proving regularity of the minimal probability of ruin via a game of stopping and control. Zbl 1303.91196Bayraktar, Erhan; Young, Virginia R. 11 2011 A unified framework for pricing credit and equity derivatives. Zbl 1229.91330Bayraktar, Erhan; Yang, Bo 6 2011 On the perpetual American put options for level dependent volatility models with jumps. Zbl 1235.91160Bayraktar, Erhan 4 2011 Minimizing the probability of lifetime ruin under stochastic volatility. Zbl 1218.91146Bayraktar, Erhan; Hu, Xueying; Young, Virginia R. 3 2011 Optimal stopping for dynamic convex risk measures. Zbl 1259.60042Bayraktar, Erhan; Karatzas, Ioannis; Yao, Song 25 2010 On the one-dimensional optimal switching problem. Zbl 1221.60058Bayraktar, Erhan; Egami, Masahiko 25 2010 Optimal investment strategy to minimize occupation time. Zbl 1233.91235Bayraktar, Erhan; Young, Virginia R. 9 2010 Inventory management with partially observed nonstationary demand. Zbl 1194.90008Bayraktar, Erhan; Ludkovski, Michael 8 2010 No arbitrage conditions for simple trading strategies. Zbl 1233.91303Bayraktar, Erhan; Sayit, Hasanjan 6 2010 On the uniqueness of classical solutions of Cauchy problems. Zbl 1194.35012Bayraktar, Erhan; Xing, Hao 6 2010 A unified treatment of dividend payment problems under fixed cost and implementation delays. Zbl 1189.93142Bayraktar, Erhan; Egami, Masahiko 3 2010 On the stickiness property. Zbl 1205.91178Bayraktar, Erhan; Sayit, Hasanjan 2 2010 Valuation of mortality risk via the instantaneous Sharpe ratio: applications to life annuities. Zbl 1170.91406Bayraktar, Erhan; Milevsky, Moshe A.; Promislow, S. David; Young, Virginia R. 30 2009 Sequential tracking of a hidden Markov chain using point process observations. Zbl 1163.62062Bayraktar, Erhan; Ludkovski, Michael 10 2009 Analysis of the optimal exercise boundary of American options for jump diffusions. Zbl 1188.91209Bayraktar, Erhan; Xing, Hao 7 2009 A proof of the smoothness of the finite time horizon American put option for jump diffusions. Zbl 1204.60033Bayraktar, Erhan 7 2009 Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions. Zbl 1178.91189Bayraktar, Erhan; Xing, Hao 6 2009 ...and 22 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 856 Authors 79 Bayraktar, Erhan 35 Young, Virginia R. 16 Yamazaki, Kazutoshi 12 Zhou, Zhou 10 Huang, Yu-Jui 10 Liang, Zhibin 10 Ludkovski, Michael 10 Pérez Garmendia, Jose Luis 10 Pham, Huyên 9 Cartea, Álvaro 9 Cohen, Asaf 9 Jaimungal, Sebastian 9 Yuen, Kam Chuen 8 Li, Danping 8 Nutz, Marcel 8 Yao, Song 8 Zhang, Jianfeng 7 Gapeev, Pavel V. 7 Karatzas, Ioannis 7 Yin, Chuancun 6 Avanzi, Benjamin 6 Dayanik, Savas 6 Dolinsky, Yan 6 Ekström, Erik 6 Jin, Zhuo 6 Kardaras, Constantinos 6 Lacker, Daniel 6 Liang, Xiaoqing 6 Obloj, Jan K. 6 Poor, Harold Vincent 6 Possamaï, Dylan 6 Song, Qingshuo 6 Xing, Hao 6 Zhou, Chao 5 Blake, David 5 Cecchin, Alekos 5 Cox, Alexander Matthew Gordon 5 Ekren, Ibrahim 5 Li, Bin 5 Liang, Gechun 5 Quenez, Marie-Claire 5 Sayit, Hasanjan 5 Sezer, Semih Onur 5 Touzi, Nizar 5 Wong, Bernard 4 Belak, Christoph 4 Bo, Lijun 4 Bouchard, Bruno 4 Christensen, Soren 4 Czichowsky, Christoph 4 Delarue, François 4 Egami, Masahiko 4 Fahim, Arash 4 Hernández-Hernández, Daniel 4 Li, Dongchen 4 Moreno-Franco, Harold A. 4 Plaksin, Anton Romanovich 4 Promislov, S. David 4 Reisinger, Christoph 4 Rong, Ximin 4 Seifried, Frank Thomas 4 Sulem, Agnès 4 Suzuki, Kiyoshi 4 Tudor, Ciprian A. 4 Zeng, Yan 4 Zhang, Yuchong 4 Zhao, Hui 4 Zhao, Yongxia 4 Zhou, Ming 4 Zhu, Chao 3 Averboukh, Yuriĭ Vladimirovich 3 Azcue, Pablo 3 Azimzadeh, Parsiad 3 Bäuerle, Nicole 3 Brachetta, Matteo 3 Burzoni, Matteo 3 Campi, Luciano 3 Carassus, Laurence 3 Carmona, René A. 3 Ceci, Claudia 3 Chen, Ping 3 Cosso, Andrea 3 Delong, Łukasz 3 Egídio dos Reis, Alfredo D. 3 Fontana, Claudio 3 Frostig, Esther 3 Guéant, Olivier 3 Hamadene, Saïd 3 Han, Xia 3 Henderson, Vicky 3 Hou, Zhaoxu 3 Imkeller, Peter 3 Kratschmer, Volker 3 Landriault, David 3 Lau, Hayden 3 Leung, Tim 3 Levendorskiĭ, Sergeĭ Zakharovich 3 Li, Jiaqi 3 Lindensjö, Kristoffer 3 MacMinn, Richard D. ...and 756 more Authors all top 5 Cited in 124 Serials 70 Insurance Mathematics & Economics 54 SIAM Journal on Control and Optimization 43 Stochastic Processes and their Applications 33 The Annals of Applied Probability 28 Finance and Stochastics 26 Applied Mathematics and Optimization 21 Mathematics of Operations Research 20 SIAM Journal on Financial Mathematics 18 Mathematical Finance 16 International Journal of Theoretical and Applied Finance 15 Mathematical Methods of Operations Research 15 Quantitative Finance 14 Journal of Computational and Applied Mathematics 13 Applied Mathematical Finance 13 Mathematics and Financial Economics 12 Journal of Optimization Theory and Applications 12 Scandinavian Actuarial Journal 12 North American Actuarial Journal 10 European Journal of Operational Research 10 ASTIN Bulletin 10 Stochastics 9 Advances in Applied Probability 8 Automatica 8 Journal of Applied Probability 7 Annals of Operations Research 7 Annals of Finance 6 Sequential Analysis 6 Journal of Economic Dynamics & Control 5 The Annals of Probability 5 Proceedings of the American Mathematical Society 5 Stochastic Analysis and Applications 5 Electronic Journal of Probability 4 Journal of Mathematical Analysis and Applications 4 Applied Mathematics and Computation 4 Stochastic Models 4 Journal of Industrial and Management Optimization 3 Transactions of the American Mathematical Society 3 Operations Research Letters 3 Acta Mathematicae Applicatae Sinica. English Series 3 Journal of Scientific Computing 3 Communications in Statistics. Theory and Methods 3 Abstract and Applied Analysis 3 Methodology and Computing in Applied Probability 3 Asia-Pacific Financial Markets 3 Review of Derivatives Research 3 Dynamic Games and Applications 2 Computers & Mathematics with Applications 2 Mathematics and Computers in Simulation 2 SIAM Journal on Numerical Analysis 2 Probability Theory and Related Fields 2 Journal of Theoretical Probability 2 Mathematical and Computer Modelling 2 European Journal of Applied Mathematics 2 Automation and Remote Control 2 Journal de Mathématiques Pures et Appliquées. Neuvième Série 2 NoDEA. Nonlinear Differential Equations and Applications 2 Mathematical Problems in Engineering 2 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations 2 The ANZIAM Journal 2 Decisions in Economics and Finance 2 Journal of Applied Mathematics and Computing 2 Science China. Mathematics 2 Statistics & Risk Modeling 2 Stochastic Systems 1 Archive for Rational Mechanics and Analysis 1 Journal of Engineering Mathematics 1 Physica A 1 Chaos, Solitons and Fractals 1 The Annals of Statistics 1 Demonstratio Mathematica 1 Illinois Journal of Mathematics 1 Journal of Mathematical Economics 1 Journal of Statistical Planning and Inference 1 Systems & Control Letters 1 Journal of Time Series Analysis 1 Chinese Annals of Mathematics. Series B 1 Statistics 1 Revista Matemática Iberoamericana 1 Numerical Methods for Partial Differential Equations 1 MCSS. Mathematics of Control, Signals, and Systems 1 Numerical Algorithms 1 Games and Economic Behavior 1 International Journal of Computer Mathematics 1 SIAM Review 1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 1 Journal of Nonlinear Science 1 Journal of Computer and Systems Sciences International 1 SIAM Journal on Scientific Computing 1 Applicationes Mathematicae 1 Statistical Papers 1 Journal of Mathematical Sciences (New York) 1 Electronic Communications in Probability 1 Bernoulli 1 Discrete and Continuous Dynamical Systems 1 INFORMS Journal on Computing 1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 1 Discrete Dynamics in Nature and Society 1 Statistical Inference for Stochastic Processes 1 Acta Mathematica Sinica. English Series 1 Econometric Theory ...and 24 more Serials all top 5 Cited in 27 Fields 507 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 404 Probability theory and stochastic processes (60-XX) 232 Systems theory; control (93-XX) 126 Calculus of variations and optimal control; optimization (49-XX) 79 Statistics (62-XX) 69 Partial differential equations (35-XX) 68 Operations research, mathematical programming (90-XX) 42 Numerical analysis (65-XX) 12 Operator theory (47-XX) 8 Integral equations (45-XX) 6 General and overarching topics; collections (00-XX) 6 Ordinary differential equations (34-XX) 6 Integral transforms, operational calculus (44-XX) 4 Functional analysis (46-XX) 4 Computer science (68-XX) 3 Linear and multilinear algebra; matrix theory (15-XX) 3 Biology and other natural sciences (92-XX) 3 Information and communication theory, circuits (94-XX) 2 Dynamical systems and ergodic theory (37-XX) 2 Harmonic analysis on Euclidean spaces (42-XX) 2 Statistical mechanics, structure of matter (82-XX) 1 Field theory and polynomials (12-XX) 1 Real functions (26-XX) 1 Functions of a complex variable (30-XX) 1 Difference and functional equations (39-XX) 1 Approximations and expansions (41-XX) 1 Mechanics of particles and systems (70-XX) Citations by Year Wikidata Timeline The data are displayed as stored in Wikidata under a Creative Commons CC0 License. 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